BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
From MaRDI portal
Publication:3178727
DOI10.1137/S0040585X97T987880zbMath1352.60086arXiv1410.0449MaRDI QIDQ3178727
Publication date: 7 December 2016
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.0449
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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